Uncertainty Unpacked: State-Level Housing Market Dynamics in the Face of Shocks
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MeiChi Huang
Abstract
This study examines the impacts of three varieties of uncertainties on the US state-level housing markets using the Stochastic Volatility in Mean Vector Autoregression (SVMVAR) framework. The findings reveal that all forms of uncertainty intensify in the COVID-19 period. Across most states, shocks to housing volume and price uncertainty generally influence housing volumes and prices in the same direction, although the magnitude of responses to housing price uncertainty differs significantly between housing prices and volumes. The uncertainty spillover is unidirectional: an increase in housing price uncertainty reduces fundamental uncertainty but amplifies volume uncertainty, but the reverse is not observed. The findings highlight the influential roles of housing price uncertainty in driving the real economy and housing markets at state levels.
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Conflict of interest: The single author declares that she has no conflict of interest.
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Data availability: The data that support the findings of this study are available from the corresponding author upon request.
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